For shelling, we found pretty nice ones around Mexico Beach just past Tyndall AFB. We just drove along 98, stopped and ate at a place along the beach (I think called Al's) and then stopped to shell for a little while along the public beaches which were deserted.
As for snorkeling, as a kid, we always stayed in the Destin Pointe neighborhood that is located at just about the end of Gulf Shore Dr. We were surprised to find that several years ago, we did a snorkel adventure on one of those party boats and that was the same place they took us too. About 6 other companies were there at the same time as well. Anyway, we figured out a way to get there a few years ago by driving a little furthur up Golf Shore drive but I don't know if that way is available anymore (they seemed like empty lots that we cut through and walked down the shore).